A covariance regression model
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Publication:2883907
DOI10.5705/SS.2010.051zbMATH Open1238.62065arXiv1102.5721OpenAlexW2155684712MaRDI QIDQ2883907FDOQ2883907
Authors: Peter D. Hoff, Xiaoyue Niu 
Publication date: 14 May 2012
Published in: Statistica Sinica (Search for Journal in Brave)
Abstract: Classical regression analysis relates the expectation of a response variable to a linear combination of explanatory variables. In this article, we propose a covariance regression model that parameterizes the covariance matrix of a multivariate response vector as a parsimonious quadratic function of explanatory variables. The approach is analogous to the mean regression model, and is similar to a factor analysis model in which the factor loadings depend on the explanatory variables. Using a random-effects representation, parameter estimation for the model is straightforward using either an EM-algorithm or an MCMC approximation via Gibbs sampling. The proposed methodology provides a simple but flexible representation of heteroscedasticity across the levels of an explanatory variable, improves estimation of the mean function and gives better calibrated prediction regions when compared to a homoscedastic model.
Full work available at URL: https://arxiv.org/abs/1102.5721
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Factor analysis and principal components; correspondence analysis (62H25) Linear regression; mixed models (62J05) Estimation in multivariate analysis (62H12)
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